Pratik Bhadane
365 lines
10 KiB
YAML
365 lines
10 KiB
YAML
# Indicator binding manifest — data-driven description of Rust indicators.
|
|
#
|
|
# Used by scripts/generate_bindings.py to generate Python wrappers.
|
|
# Schema (per indicator):
|
|
# rust_fn: name of the function in _ferro_ta
|
|
# array_params: list of parameter names that are array-like (passed to _to_f64)
|
|
# timeperiod_param: optional; name of period parameter to validate
|
|
# timeperiod_min: optional; minimum value (default 1)
|
|
# equal_length_groups: optional; list of groups of param names that must have equal length
|
|
# defaults: optional; map of param name -> default value for function signature
|
|
# extra_params: optional; list of param names (after array_params and timeperiod) for signature/call
|
|
#
|
|
# Indicators with multiple period params or custom logic (MACD, MA, MAVP, MAMA, SAR, SAREXT, MACDEXT)
|
|
# are listed here for reference but are not generated (hand-written wrappers in overlap.py).
|
|
|
|
overlap:
|
|
SMA:
|
|
rust_fn: sma
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 30 }
|
|
EMA:
|
|
rust_fn: ema
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 30 }
|
|
WMA:
|
|
rust_fn: wma
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 30 }
|
|
DEMA:
|
|
rust_fn: dema
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 30 }
|
|
TEMA:
|
|
rust_fn: tema
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 30 }
|
|
TRIMA:
|
|
rust_fn: trima
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 30 }
|
|
KAMA:
|
|
rust_fn: kama
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 30 }
|
|
T3:
|
|
rust_fn: t3
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 5, vfactor: 0.7 }
|
|
extra_params: [vfactor]
|
|
BBANDS:
|
|
rust_fn: bbands
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 5, nbdevup: 2.0, nbdevdn: 2.0 }
|
|
extra_params: [nbdevup, nbdevdn]
|
|
MIDPOINT:
|
|
rust_fn: midpoint
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 14 }
|
|
MIDPRICE:
|
|
rust_fn: midprice
|
|
array_params: [high, low]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low]]
|
|
defaults: { timeperiod: 14 }
|
|
MACDFIX:
|
|
rust_fn: macdfix
|
|
array_params: [close]
|
|
timeperiod_param: signalperiod
|
|
defaults: { signalperiod: 9 }
|
|
# Below: documented in manifest but use hand-written wrappers (multiple periods or custom validation)
|
|
MACD:
|
|
rust_fn: macd
|
|
array_params: [close]
|
|
custom: true
|
|
SAR:
|
|
rust_fn: sar
|
|
array_params: [high, low]
|
|
custom: true
|
|
MA:
|
|
rust_fn: ma
|
|
array_params: [close]
|
|
custom: true
|
|
MAVP:
|
|
rust_fn: mavp
|
|
array_params: [close, periods]
|
|
custom: true
|
|
MAMA:
|
|
rust_fn: mama
|
|
array_params: [close]
|
|
custom: true
|
|
SAREXT:
|
|
rust_fn: sarext
|
|
array_params: [high, low]
|
|
custom: true
|
|
MACDEXT:
|
|
rust_fn: macdext
|
|
array_params: [close]
|
|
custom: true
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# volume
|
|
# ---------------------------------------------------------------------------
|
|
volume:
|
|
AD:
|
|
rust_fn: ad
|
|
array_params: [high, low, close, volume]
|
|
equal_length_groups: [[high, low, close, volume]]
|
|
ADOSC:
|
|
rust_fn: adosc
|
|
array_params: [high, low, close, volume]
|
|
equal_length_groups: [[high, low, close, volume]]
|
|
defaults: { fastperiod: 3, slowperiod: 10 }
|
|
extra_params: [fastperiod, slowperiod]
|
|
custom: true # two period params (fastperiod < slowperiod)
|
|
OBV:
|
|
rust_fn: obv
|
|
array_params: [close, volume]
|
|
equal_length_groups: [[close, volume]]
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# volatility
|
|
# ---------------------------------------------------------------------------
|
|
volatility:
|
|
ATR:
|
|
rust_fn: atr
|
|
array_params: [high, low, close]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low, close]]
|
|
defaults: { timeperiod: 14 }
|
|
NATR:
|
|
rust_fn: natr
|
|
array_params: [high, low, close]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low, close]]
|
|
defaults: { timeperiod: 14 }
|
|
TRANGE:
|
|
rust_fn: trange
|
|
array_params: [high, low, close]
|
|
equal_length_groups: [[high, low, close]]
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# statistic
|
|
# ---------------------------------------------------------------------------
|
|
statistic:
|
|
STDDEV:
|
|
rust_fn: stddev
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 5, nbdev: 1.0 }
|
|
extra_params: [nbdev]
|
|
VAR:
|
|
rust_fn: var
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 5, nbdev: 1.0 }
|
|
extra_params: [nbdev]
|
|
LINEARREG:
|
|
rust_fn: linearreg
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 14 }
|
|
LINEARREG_SLOPE:
|
|
rust_fn: linearreg_slope
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 14 }
|
|
LINEARREG_INTERCEPT:
|
|
rust_fn: linearreg_intercept
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 14 }
|
|
LINEARREG_ANGLE:
|
|
rust_fn: linearreg_angle
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 14 }
|
|
TSF:
|
|
rust_fn: tsf
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 14 }
|
|
BETA:
|
|
rust_fn: beta
|
|
array_params: [real0, real1]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[real0, real1]]
|
|
defaults: { timeperiod: 5 }
|
|
CORREL:
|
|
rust_fn: correl
|
|
array_params: [real0, real1]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[real0, real1]]
|
|
defaults: { timeperiod: 30 }
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# momentum (single-period or simple equal-length; multi-period / tuple-return marked custom)
|
|
# ---------------------------------------------------------------------------
|
|
momentum:
|
|
RSI:
|
|
rust_fn: rsi
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 14 }
|
|
MOM:
|
|
rust_fn: mom
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 10 }
|
|
ROC:
|
|
rust_fn: roc
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 10 }
|
|
ROCP:
|
|
rust_fn: rocp
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 10 }
|
|
ROCR:
|
|
rust_fn: rocr
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 10 }
|
|
ROCR100:
|
|
rust_fn: rocr100
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 10 }
|
|
WILLR:
|
|
rust_fn: willr
|
|
array_params: [high, low, close]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low, close]]
|
|
defaults: { timeperiod: 14 }
|
|
AROON:
|
|
rust_fn: aroon
|
|
array_params: [high, low]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low]]
|
|
defaults: { timeperiod: 14 }
|
|
AROONOSC:
|
|
rust_fn: aroonosc
|
|
array_params: [high, low]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low]]
|
|
defaults: { timeperiod: 14 }
|
|
CCI:
|
|
rust_fn: cci
|
|
array_params: [high, low, close]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low, close]]
|
|
defaults: { timeperiod: 14 }
|
|
MFI:
|
|
rust_fn: mfi
|
|
array_params: [high, low, close, volume]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low, close, volume]]
|
|
defaults: { timeperiod: 14 }
|
|
BOP:
|
|
rust_fn: bop
|
|
array_params: [open, high, low, close]
|
|
equal_length_groups: [[open, high, low, close]]
|
|
STOCHF:
|
|
rust_fn: stochf
|
|
array_params: [high, low, close]
|
|
equal_length_groups: [[high, low, close]]
|
|
defaults: { fastk_period: 5, fastd_period: 3 }
|
|
extra_params: [fastk_period, fastd_period]
|
|
custom: true
|
|
STOCH:
|
|
rust_fn: stoch
|
|
array_params: [high, low, close]
|
|
equal_length_groups: [[high, low, close]]
|
|
defaults: { fastk_period: 5, slowk_period: 3, slowd_period: 3 }
|
|
extra_params: [fastk_period, slowk_period, slowd_period]
|
|
custom: true
|
|
STOCHRSI:
|
|
rust_fn: stochrsi
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 14, fastk_period: 5, fastd_period: 3 }
|
|
extra_params: [fastk_period, fastd_period]
|
|
custom: true
|
|
APO:
|
|
rust_fn: apo
|
|
array_params: [close]
|
|
defaults: { fastperiod: 12, slowperiod: 26 }
|
|
extra_params: [fastperiod, slowperiod]
|
|
custom: true
|
|
PPO:
|
|
rust_fn: ppo
|
|
array_params: [close]
|
|
defaults: { fastperiod: 12, slowperiod: 26, signalperiod: 9 }
|
|
extra_params: [fastperiod, slowperiod, signalperiod]
|
|
custom: true
|
|
CMO:
|
|
rust_fn: cmo
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 14 }
|
|
PLUS_DM:
|
|
rust_fn: plus_dm
|
|
array_params: [high, low]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low]]
|
|
defaults: { timeperiod: 14 }
|
|
MINUS_DM:
|
|
rust_fn: minus_dm
|
|
array_params: [high, low]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low]]
|
|
defaults: { timeperiod: 14 }
|
|
PLUS_DI:
|
|
rust_fn: plus_di
|
|
array_params: [high, low, close]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low, close]]
|
|
defaults: { timeperiod: 14 }
|
|
MINUS_DI:
|
|
rust_fn: minus_di
|
|
array_params: [high, low, close]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low, close]]
|
|
defaults: { timeperiod: 14 }
|
|
DX:
|
|
rust_fn: dx
|
|
array_params: [high, low, close]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low, close]]
|
|
defaults: { timeperiod: 14 }
|
|
ADX:
|
|
rust_fn: adx
|
|
array_params: [high, low, close]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low, close]]
|
|
defaults: { timeperiod: 14 }
|
|
ADXR:
|
|
rust_fn: adxr
|
|
array_params: [high, low, close]
|
|
timeperiod_param: timeperiod
|
|
equal_length_groups: [[high, low, close]]
|
|
defaults: { timeperiod: 14 }
|
|
TRIX:
|
|
rust_fn: trix
|
|
array_params: [close]
|
|
timeperiod_param: timeperiod
|
|
defaults: { timeperiod: 30 }
|
|
ULTOSC:
|
|
rust_fn: ultosc
|
|
array_params: [high, low, close]
|
|
equal_length_groups: [[high, low, close]]
|
|
defaults: { timeperiod1: 7, timeperiod2: 14, timeperiod3: 28 }
|
|
extra_params: [timeperiod1, timeperiod2, timeperiod3]
|
|
custom: true
|